This is a summary of links featured on Quantocracy on Wednesday, 12/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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External Strategy Rule Evaluation. Too many rules? [Alvarez Quant Trading]A common question I get is where do I find all my research ideas. My main source is Quantocracy. He does a great job of curating posts because the work is manually done. Then there the Better System Trader and Trend Following Radio podcasts. Usually from these sources I get a nugget of an idea to research or a simple strategy. Sometimes the post/podcast will recommend a book. From one of these
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Can Time Solve the Issue of High Valuations? [EconomPic]What an investors pays for an asset directly impacts the forward return an investor is likely to receive. The question for any investor given todays high stock multiples AND low bond yields globally is how much this matters not only over an intermediate time frame, but over a period potentially as long as the rest of many investors investing lifetimes. Sneak preview it may matter a lot more
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5 Questions For Wesley Gray of @AlphaArchitect [Capital Spectator]Momentum investing betting on the persistence of price trends in the short to medium term has captured the crowds attention in recent years. Consider, for instance, the strong growth in ETF assets in the niche. The first fund launched a bit more than five years ago; today, there are dozens of momentum ETFs, collectively holding nearly $15 billion in assets, according to etfdb.com.
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Iron Condor Results Summary – Part 5 – IC Structure vs Metrics Correlation [DTR Trading]In the last article, posted way back in August, I looked at the Iron Condor structures that appeared to perform the best for each of the seven metrics I tracked. Recall that I tested 3024 different Iron Condor strategy variations over the period from January 2007 through September 2016. This testing generated more than 600,000 Iron Condor trades. The past articles can be found at: Iron Condor